gas daily forward start options__ Modified Valuation Version

The deals included below are strictly index flat gas daily options. I'm
going to send Shouan an Index +/- deal as well so that he can verify that the
basis offset is valuing correctly in both situations.

---------------------- Forwarded by Susan M Scott/HOU/ECT on 11/29/2000 09:03
AM ---------------------------

Shouan Tang
11/28/2000 06:00 PM
To: Susan M Scott/HOU/ECT@ECT
cc: Jeremy Wong/HOU/ECT@ECT
Subject: gas daily forward start options__ Modified Valuation Version

Hi Susan,

I changed the code so that it feeds the Ostrip model as Larry requested by
using the formula to derive BasisOffset. In the attached file is the
comparison between the old valuation and the one after the modification.
Please note the changes on the premiums. Please let me know if you or Larry
have any questions/comments on this.

Shouan